Title

European emerging markets and the world market volatility.

SelectedWorks Author Profiles:

Todd M. Shank

Document Type

Article

Publication Date

1999

Date Issued

January 1999

Date Available

February 2012

Abstract

This paper examines the volatility persistence in three European emerging markets, Greece, Portugal, and Spain. Monthly value weighted index returns are computed and analyzed. A moving average TARCH model which accounts for asymmetry is estimated. Our findings show that the asymmetric influence of the positive and negative news in the previous month is statistically significant in all markets but Spain. In all markets the previous month's volatility has a significant effect on the volatility in the current month. All markets show high volatility persistence relative to the world market. Among the equity markets analyzed, Lisbon stock index shows the highest volatility persistence and the Spain index the lowest. Returns and systematic risk in markets of Greece and Spain are directly related to the world market. However, Granger tests of causality suggests that there is a bi-causal relationship between the world market returns and market returns in Spain. The findings may have significant implications for portfolio diversification strategies when investing in European emerging markets.

Comments

Abstract only. At this time, full-text article is available only through licensed access provided by the publisher. Published in Global Business & Finance Review, 4(1).

Language

en_US

Publisher

University of Southern Indiana - College of Business

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

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